Podcast #128: We chat with Kent C Dodds about why he loves React and discuss what life was like in the dark days before Git. Listen now.

# Tag Info

6

In case of NYSE equities rule 7.6 reads: "The minimum price variation ("MPV") for quoting and entry of orders in securities traded on the NYSE Arca Marketplace is USD 0.01, with the exception of securities that are priced less than USD 1.00 for which the MPV for quoting and entry of orders is USD 0.0001." For NASDAQ equities rule 4701 (k) reads: "The term "...

4

You said:"I understand that the generated ticks will be generated using interpolation (so they won't be exacts)". You are very optimistic, they will not only be far away from being exact, they (the tick data) will be completely removed from reality, the only parameters known for the tick data will be boundary conditions, such as open high low close. You ...

2

What Tick data you have in mind? NASDAQ ITCH is tick data but you have to construct the limit order book yourself to keep track of the best bid and ask price for each stocks. Not a trivial task. If you get TAQ data, you will get the best bid and ask (NBBO) but TAQ data has some issues like no odd-lot trades and trades are not mark buyer or seller initiated.

2

http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt The relevant field being "Tick_Size_Pilot_Program_Group", Gx or C categorization. There is no formula to determine this as this rule is new, on a trial basis and the participating listings aren't chosen completely objectively. It's designed to help market making firms at the expense of ...

2

The way I managed to solve this was by scrapping the broker website and compile a list containing Symbol, Primary Exchange, Tick Increment, ISIN, CONID, ASSETID of 6589 Equities from NASDAQ, NYSE and AMEX. Here's a gist of the list:

2

We've done this before (*), but it is trivial: one tick for open, one tick for high, one tick for low, one tick for close. For tick timestamps, open is 08:01:00, close is 08:01:59.999, high is 08:01:20 and low is 08:01:40. (Or if that gives strange results, open is 08:01:00.001 and close is 08:02:00.000; it depends how your system makes bars.) If you want ...

1

You probably can't find a definitive resource. You can however past this together using sources on line. https://www.finra.org/industry/tick-size-pilot-program https://www.sec.gov/oiea/investor-alerts-bulletins/ia_ticksize.html I know that securities above \$1 have \$0.01 tick while those below \$1 have \$0.0001 tick since Jan 29, 2001 but how about ...

1

(1) The tick size puts a lower bound on the bid-ask spread (and often is equal to the bid-ask spread) Tick size too big: the bid-ask spread (which the market maker earns but the customers pay) is too big. Favors the market-makers at the expense of the customers. Tick size too small: vice versa. Therefore the tick size influences the transaction cost. (2) ...

1

From a feed perspective, you can take a look at the feed spec, it should be mentioned among descriptions of the data types e.g. fixed point integer with 4 implied decimal places and be applied across all symbols. This should be universal so you could hardcode it. Thereafter, you can look up the MPV in the rule books - see this answer: https://quant....

1

I do not know of anything that is already made and works out of the box, but I would recommend writing a small script in Python using csv.reader, this would probably be as fast as trying to plug something on your csv, especially if your format is a bit exotic ?

1

Supply and demand... If you want an event that produce a change in the value of a currency, just look at the ruble. As Russia, gets more and more isolated and inflation spins out of control the ruble lose its value against other currencies.

1

That exchange spec implies that there isn't a legal price of 1001, 1002, ..., 1009. The next available price after 1000 is just 1010. If your pricing engine determines a fair value of, say, 1005, then your application will need to apply some rounding logic. For example, you can always round away from the inside price, or you can simply round to the nearest ...

Only top voted, non community-wiki answers of a minimum length are eligible